Anyone who thinks Christians shouldn't be sad should take a good long look at the book of Job. Also, we see Jesus mourning over his people (Oh Jerusalem) and for the lost.
I don't suffer from clinical depression in any sense of the word, but I'm not one of those naturally "happy" people. I go through periodic bouts of feeling like everything sucks.

Honestly, I don't get this "happy Christianity" thing. The world is in sin. The world is a hopeless place. But we have HOPE IN CHRIST. That means that no matter how dark things get, we can always cling to the hope that our salvation comes in heaven, not in this world. I don't think Paul thought getting thrown in prison or beaten half to death was much fun, and he probably wasn't terribly thrilled about it either. He even cried out for God to take away his bodily "affliction" (whatever it was).
I think I realized how fundamentally Christianity is about PAIN and SUFFERING after I spent a year in China. It was rough on me emotionally, but the worst thing was that I spent Sundays in a local orphanage that didn't get any outside aid. I knew that I would never look at the world the same way when I found myself praying to God that one of the babies would just die. So that it would stop screaming in agony. I beat my head against the wall over and over in my attempts to get someone, anyone, to help. I called, emailed, begged, pleaded with every organization I could find, but it was always just too "inconvenient" for everyone. I finally found one organization that would ship clothing and toys if I raised the money, which I did. But that only helped a little. I had to accept the fact that sometimes, there's only so much you can do.
It's been three years and I still experience bitterness, frustration, and depression over this. I live in a happy, prosperous place, but I realize that everything I own and everything in my life is fleeting. There's no justice in this world as long as things like that can happen. I don't regret what I did because it opened my eyes to the way the world really is. Sometimes I feel like everyone else is blind. Sometimes I find myself praying, "God, when this is all over, you had better have a damn good explanation."
How do I get over it? I don't. It's reality. What I do is learn to trust in God. I don't know everything, and I'm not big enough that I will ever understand the whys of the world. But as God told Job, was he there when the world began? Was I? No. I turn to the bible and I take comfort in the fact that others have asked the same hard questions. I also take comfort in verses that promise that the angels of little children are always seeing God face to face, and that if a man hurts a little child, it is better that he has a millstone tied around his neck and is thrown into the sea. To me, that's a promise of justice. And I KNOW God keeps his promises.
I also ACT. I can't just walk away from that and go back to my everyday life without doing anything. So we sponsor a child in a third-world country and we contribute financially to other efforts. When we have an opportunity to help in our own community, we do that as well. Then when I get frustrated and depressed I can think, "Maybe I can't save the world, but I've done what I can. And I know the person who CAN save the world-- and already has."